On newer versions of Windows, you will need to “unblock” the zip file prior to extraction, or else Windows will not allow the executable files contained within to run.
Is this Windows 10? Also, What level is your UAC set to?
As an alternative, you can install System Ninja and then take all the files from ‘C:\Program Files (x86)\System Ninja’ (except the uninstaller) and move them to another folder. This will then become a DIY System Ninja Portable.